In your browser:
File, Save As or Save Page As
[edit]Oh, I bet you are wanting all those links saved to, as in so its all accessible from off the internet. I remember seeing an option on some browser to save all pages one link ahead of the current one, which would do it, but Firefox doesnt. I would bet their is a plugin or just another program out there that will do it. I also remember, I think it was jtice on CPF, saved the entire Arc Flashlight website when it went under years ago just for the sake of saving it. I want to say he or whoever that was used Adobe of some sort...[/edit]
-Cameron